دانلود رایگان مقاله لاتین پیش بینی هم انباشتگی پراکنده از سایت الزویر
عنوان فارسی مقاله:
پیش بینی با استفاده از هم انباشتگی پراکنده
عنوان انگلیسی مقاله:
Forecasting using sparse cointegration
سال انتشار : 2016
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بخشی از مقاله انگلیسی:
6. Forecasting
We evaluate the forecast performance of the sparse cointegration method on two data sets. In the first data set, we have interest rates of different maturities. Financial theory implies that these interest rates of different maturities will be cointegrated. We consider a VECM and compare the forecast performances of the sparse cointegration method and the traditional method. For the second data set, we forecast a large number of industry-specific consumption time series. We investigate the question of whether the forecast accuracy can be improved by using the sparse cointegration method rather than alternative methods.
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کلمات کلیدی:
JSM 2016 Online Program - American Statistical Association https://ww2.amstat.org/meetings/jsm/2016/onlineprogram/AbstractDetails.cfm?... Abstract #319149, View Presentation. Title: Forecasting Using Sparse Cointegration. Author(s):, Ines Wilms* and Christophe Croux. Companies: and KU Leuven. [PDF]Sparse cointegration analysis in high dimensions - StUDyS https://iap-studys.be/files/workshop2014/christophe-croux.pdf by C Croux - Related articles Sparse cointegration analysis in high dimensions ... yt cointegrated with cointegration rank r ..... Application 2: Forecasting in a large cointegrated VAR. Data: 24 ... Handbook of Short Selling - Page 544 - Google Books Result https://books.google.com/books?isbn=0123877245 Greg N. Gregoriou - 2011 - Business & Economics However, VECMs produce long-term forecasts with smaller errors when variables used ... Given the optimal sparse patterned VECM, the number of cointegrating ... [PDF]Forecasting with Macroeconomic Big Data - Maastricht University ... https://cris.maastrichtuniversity.nl/portal/files/5783492/RM16039.pdf by S Smeekes - 2016 Nov 28, 2016 - Macroeconomic Forecasting Using Penalized Regression. Methods .... failing to identify the exact cointegrating vector at relatively high ... 2008), weighted principal components (Boivin and Ng, 2006), sparse principal compo-. [PDF]methods and techniques for preparing forecasts - Romanian Statistical ... www.revistadestatistica.ro/supliment/wp-content/.../rrss_04_2017_site_A2_en.pdf continue with synthesizing aspects of forecasting simulation models, .... cointegration in prognosis. ..... Forecasting using sparse cointegration, International.
